rusty_backtest::features::tardis_features

Function calculate_depth_weighted_ofi

Source 
pub fn calculate_depth_weighted_ofi(
    bids: &SmallVec<[Level; 25]>,
    asks: &SmallVec<[Level; 25]>,
    depth: usize,
) -> f64
Expand description

Depth-Weighted OFI

Order flow imbalance weighted by level depth